CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	26
αARCH	0.3292	67.12***
βGARCH	0.3610	89.04***
γleverage	-0.3292	-67.18***
λ₁tau intercept	0.0000	0.00
λ₂forecast adj.	0.6802	80.04***
λ₃tau persistence	0.0000	0.18

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.3292	67.12***
β GARCH Volatility persistence	0.3610	89.04***
γ leverage Additional response to negative shocks	-0.3292	-67.18***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.6802	80.04***
λ₃ tau persistence Long-term factor persistence	0.0000	0.18

V-Lab

XtalPi Holdings Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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